This paper examines the relationship between shareholdings of various investor groups and stock liquidity for Malaysian public listed firms over the 2002-2009 sample period. Using the Amihud illiquidity ratio, we extend the literature by addressing the issues of investor heterogeneity, trading...

This paper examines the relationship between foreign shareholding and stock price efficiency for Malaysian public listed firms over the 2002-2008 sample period. We use stock price delay as an inverse measure of informational efficiency, and consider the speed of adjustment to local and global...

This study addresses the question of whether a more integrated stock market is associated with a higher degree of informational efficiency. Generally, our measures for market integration and market efficiency both shows improvement over time and emerging markets are less integrated and less...

The speed of stock price adjustment to new information is central to market efficiency, and the price delay measure has emerged as a useful tool. This approach enables earlier studies to identify a set of factors responsible for delaying stock price adjustment to market-wide information. We...

This paper first introduces the trispectrum-based time reversibility test to complement its bispectrum counterpart introduced earlier in extant literature. Using these frequency domain tests, we then examine whether the returns series of major stock market indices in 48 countries are time...

Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92] develop a theoretical model that predicts financial opening without trade reform does not lead to higher weak-form efficiency. The present paper brings their...

The present paper extends the short-horizon return predictability literature to explore the potential determinants of weak-form market efficiency in a sample of 50 countries over the period 1995-2005. Using the proposed rolling bicorrelation test statistic, we are able to compare the extent of...

The present paper utilizes the portmanteau bicorrelation test statistic of Hinich (1996) in a rolling sample approach to capture the evolution of market efficiency over time. The proposed framework also allows us to compare the relative efficiency of stock markets based on those rolling...

The present study proposes the use of nonlinear serial dependencies in the returns series for assessing market responses to new information. Unlike the standard event study methodology, this paper advocates a reserve form that let data analysis to first detect those periods with significant...